analyticPricer.hpp
1 #ifndef MARIAN_ANALYTICPRICER_H
2 #define MARIAN_ANALYTICPRICER_H
3 
4 #include <utils/mathUtils.hpp>
5 #include <financial/options/euroOpt.hpp>
6 #include <financial/market.hpp>
7 
8 namespace marian {
9 
10  double BSprice(const Market& mkt, const EuroOpt& opt);
11 
12 } // namespace fdm
13 
14 #endif /* MARIAN_ANALYTICPRIZER_H */
marian
Definition: backwardKolmogorovEq.cpp:5
marian::BSprice
double BSprice(const Market &mkt, const EuroOpt &opt)
Calculates price of European option using BS model.
Definition: analyticPricer.cpp:28
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